If it doesnt work at all after changing the batteries I would backtrack on what you have done, insomuch (and without being offensive) double check that one of the batteries hasn't been put in back to front or that the battery isn't defective, not exactly unheard of!! If however you have double checked and all seems OK then check that although the battery is installed its actually touching the contacts at either end, this being another thing that can happen. If you have a digital camera or any type of camcorder, as an infra red check on the remote switch the camera / camcorder on and whilst watching its LCD screen point the remote at the lens of whatever and press any button on the remote and you should see a light come on the end of the remote, this indicates that at least its sending out a signal, if you dont see anything and the batteries / contacts are OK then it could be the remotes LED that has failed or indeed the circuitry that operates it.

Just a little addition to what was mentioned, if you take the LED out of the control you can test it by doing what I aforementioned regarding using a camera, you can power the LED by using a nine volt battery with a resistor of about 470 to 1000ohms in series with it, (ESSENTIAL) should you not see anything on the cameras LCD when you connect up immediately stop and reverse the connections to the diode, however if still nothing shows up then its faulty. By the way LED's would normally not take too kindly to an accidentally reversed power input and usually blow, but the resistor value I mentioned would not allow enough current for this to happen provided the feed voltage wasn't higher than 9v. I only mention this as its a 50 / 50 chance that the connection will be the wrong way around when you do this.